For me, it would be all about the finances. If you aren't paying for IUI's (my insurance covers mine), then sure, go for it. Otherwise, it might be a good idea to move on to IVF and quit spending money on IUI's, since DH's morphology is so low. There is always a chance the IUI might work, but it probably isn't all that likely - your chemical was probably due to the morphology issues.
Good luck - it's a tough road, but you'll get through it!!